"""Matrix equation solver routines"""
# Author: Jeffrey Armstrong <jeff@approximatrix.com>
# February 24, 2012
# Modified: Chad Fulton <ChadFulton@gmail.com>
# June 19, 2014
# Modified: Ilhan Polat <ilhanpolat@gmail.com>
# September 13, 2016
from __future__ import division, print_function, absolute_import
import warnings
import numpy as np
from numpy.linalg import inv, LinAlgError, norm, cond, svd
from .basic import solve, solve_triangular, matrix_balance
from .lapack import get_lapack_funcs
from .decomp_schur import schur
from .decomp_lu import lu
from .decomp_qr import qr
from ._decomp_qz import ordqz
from .decomp import _asarray_validated
from .special_matrices import kron, block_diag
__all__ = ['solve_sylvester',
'solve_continuous_lyapunov', 'solve_discrete_lyapunov',
'solve_lyapunov',
'solve_continuous_are', 'solve_discrete_are']
def solve_sylvester(a, b, q):
"""
Computes a solution (X) to the Sylvester equation :math:`AX + XB = Q`.
Parameters
----------
a : (M, M) array_like
Leading matrix of the Sylvester equation
b : (N, N) array_like
Trailing matrix of the Sylvester equation
q : (M, N) array_like
Right-hand side
Returns
-------
x : (M, N) ndarray
The solution to the Sylvester equation.
Raises
------
LinAlgError
If solution was not found
Notes
-----
Computes a solution to the Sylvester matrix equation via the Bartels-
Stewart algorithm. The A and B matrices first undergo Schur
decompositions. The resulting matrices are used to construct an
alternative Sylvester equation (``RY + YS^T = F``) where the R and S
matrices are in quasi-triangular form (or, when R, S or F are complex,
triangular form). The simplified equation is then solved using
``*TRSYL`` from LAPACK directly.
.. versionadded:: 0.11.0
Examples
--------
Given `a`, `b`, and `q` solve for `x`:
>>> from scipy import linalg
>>> a = np.array([[-3, -2, 0], [-1, -1, 3], [3, -5, -1]])
>>> b = np.array([[1]])
>>> q = np.array([[1],[2],[3]])
>>> x = linalg.solve_sylvester(a, b, q)
>>> x
array([[ 0.0625],
[-0.5625],
[ 0.6875]])
>>> np.allclose(a.dot(x) + x.dot(b), q)
True
"""
# Compute the Schur decomp form of a
r, u = schur(a, output='real')
# Compute the Schur decomp of b
s, v = schur(b.conj().transpose(), output='real')
# Construct f = u'*q*v
f = np.dot(np.dot(u.conj().transpose(), q), v)
# Call the Sylvester equation solver
trsyl, = get_lapack_funcs(('trsyl',), (r, s, f))
if trsyl is None:
raise RuntimeError('LAPACK implementation does not contain a proper '
'Sylvester equation solver (TRSYL)')
y, scale, info = trsyl(r, s, f, tranb='C')
y = scale*y
if info < 0:
raise LinAlgError("Illegal value encountered in "
"the %d term" % (-info,))
return np.dot(np.dot(u, y), v.conj().transpose())
def solve_continuous_lyapunov(a, q):
"""
Solves the continuous Lyapunov equation :math:`AX + XA^H = Q`.
Uses the Bartels-Stewart algorithm to find :math:`X`.
Parameters
----------
a : array_like
A square matrix
q : array_like
Right-hand side square matrix
Returns
-------
x : ndarray
Solution to the continuous Lyapunov equation
See Also
--------
solve_discrete_lyapunov : computes the solution to the discrete-time
Lyapunov equation
solve_sylvester : computes the solution to the Sylvester equation
Notes
-----
The continuous Lyapunov equation is a special form of the Sylvester
equation, hence this solver relies on LAPACK routine ?TRSYL.
.. versionadded:: 0.11.0
Examples
--------
Given `a` and `q` solve for `x`:
>>> from scipy import linalg
>>> a = np.array([[-3, -2, 0], [-1, -1, 0], [0, -5, -1]])
>>> b = np.array([2, 4, -1])
>>> q = np.eye(3)
>>> x = linalg.solve_continuous_lyapunov(a, q)
>>> x
array([[ -0.75 , 0.875 , -3.75 ],
[ 0.875 , -1.375 , 5.3125],
[ -3.75 , 5.3125, -27.0625]])
>>> np.allclose(a.dot(x) + x.dot(a.T), q)
True
"""
a = np.atleast_2d(_asarray_validated(a, check_finite=True))
q = np.atleast_2d(_asarray_validated(q, check_finite=True))
r_or_c = float
for ind, _ in enumerate((a, q)):
if np.iscomplexobj(_):
r_or_c = complex
if not np.equal(*_.shape):
raise ValueError("Matrix {} should be square.".format("aq"[ind]))
# Shape consistency check
if a.shape != q.shape:
raise ValueError("Matrix a and q should have the same shape.")
# Compute the Schur decomp form of a
r, u = schur(a, output='real')
# Construct f = u'*q*u
f = u.conj().T.dot(q.dot(u))
# Call the Sylvester equation solver
trsyl = get_lapack_funcs('trsyl', (r, f))
dtype_string = 'T' if r_or_c == float else 'C'
y, scale, info = trsyl(r, r, f, tranb=dtype_string)
if info < 0:
raise ValueError('?TRSYL exited with the internal error '
'"illegal value in argument number {}.". See '
'LAPACK documentation for the ?TRSYL error codes.'
''.format(-info))
elif info == 1:
warnings.warn('Input "a" has an eigenvalue pair whose sum is '
'very close to or exactly zero. The solution is '
'obtained via perturbing the coefficients.',
RuntimeWarning)
y *= scale
return u.dot(y).dot(u.conj().T)
# For backwards compatibility, keep the old name
solve_lyapunov = solve_continuous_lyapunov
def _solve_discrete_lyapunov_direct(a, q):
"""
Solves the discrete Lyapunov equation directly.
This function is called by the `solve_discrete_lyapunov` function with
`method=direct`. It is not supposed to be called directly.
"""
lhs = kron(a, a.conj())
lhs = np.eye(lhs.shape[0]) - lhs
x = solve(lhs, q.flatten())
return np.reshape(x, q.shape)
def _solve_discrete_lyapunov_bilinear(a, q):
"""
Solves the discrete Lyapunov equation using a bilinear transformation.
This function is called by the `solve_discrete_lyapunov` function with
`method=bilinear`. It is not supposed to be called directly.
"""
eye = np.eye(a.shape[0])
aH = a.conj().transpose()
aHI_inv = inv(aH + eye)
b = np.dot(aH - eye, aHI_inv)
c = 2*np.dot(np.dot(inv(a + eye), q), aHI_inv)
return solve_lyapunov(b.conj().transpose(), -c)
def solve_discrete_lyapunov(a, q, method=None):
"""
Solves the discrete Lyapunov equation :math:`AXA^H - X + Q = 0`.
Parameters
----------
a, q : (M, M) array_like
Square matrices corresponding to A and Q in the equation
above respectively. Must have the same shape.
method : {'direct', 'bilinear'}, optional
Type of solver.
If not given, chosen to be ``direct`` if ``M`` is less than 10 and
``bilinear`` otherwise.
Returns
-------
x : ndarray
Solution to the discrete Lyapunov equation
See Also
--------
solve_continuous_lyapunov : computes the solution to the continuous-time
Lyapunov equation
Notes
-----
This section describes the available solvers that can be selected by the
'method' parameter. The default method is *direct* if ``M`` is less than 10
and ``bilinear`` otherwise.
Method *direct* uses a direct analytical solution to the discrete Lyapunov
equation. The algorithm is given in, for example, [1]_. However it requires
the linear solution of a system with dimension :math:`M^2` so that
performance degrades rapidly for even moderately sized matrices.
Method *bilinear* uses a bilinear transformation to convert the discrete
Lyapunov equation to a continuous Lyapunov equation :math:`(BX+XB'=-C)`
where :math:`B=(A-I)(A+I)^{-1}` and
:math:`C=2(A' + I)^{-1} Q (A + I)^{-1}`. The continuous equation can be
efficiently solved since it is a special case of a Sylvester equation.
The transformation algorithm is from Popov (1964) as described in [2]_.
.. versionadded:: 0.11.0
References
----------
.. [1] Hamilton, James D. Time Series Analysis, Princeton: Princeton
University Press, 1994. 265. Print.
http://doc1.lbfl.li/aca/FLMF037168.pdf
.. [2] Gajic, Z., and M.T.J. Qureshi. 2008.
Lyapunov Matrix Equation in System Stability and Control.
Dover Books on Engineering Series. Dover Publications.
Examples
--------
Given `a` and `q` solve for `x`:
>>> from scipy import linalg
>>> a = np.array([[0.2, 0.5],[0.7, -0.9]])
>>> q = np.eye(2)
>>> x = linalg.solve_discrete_lyapunov(a, q)
>>> x
array([[ 0.70872893, 1.43518822],
[ 1.43518822, -2.4266315 ]])
>>> np.allclose(a.dot(x).dot(a.T)-x, -q)
True
"""
a = np.asarray(a)
q = np.asarray(q)
if method is None:
# Select automatically based on size of matrices
if a.shape[0] >= 10:
method = 'bilinear'
else:
method = 'direct'
meth = method.lower()
if meth == 'direct':
x = _solve_discrete_lyapunov_direct(a, q)
elif meth == 'bilinear':
x = _solve_discrete_lyapunov_bilinear(a, q)
else:
raise ValueError('Unknown solver %s' % method)
return x
def solve_continuous_are(a, b, q, r, e=None, s=None, balanced=True):
r"""
Solves the continuous-time algebraic Riccati equation (CARE).
The CARE is defined as
.. math::
X A + A^H X - X B R^{-1} B^H X + Q = 0
The limitations for a solution to exist are :
* All eigenvalues of :math:`A` on the right half plane, should be
controllable.
* The associated hamiltonian pencil (See Notes), should have
eigenvalues sufficiently away from the imaginary axis.
Moreover, if ``e`` or ``s`` is not precisely ``None``, then the
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